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Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Li Yang; Chen, Zhiping; Hu, Qianhui - In: China finance review international 4 (2014) 4, pp. 360-384

Persistent link: https://www.econbiz.de/10011339001

Tail nonlinearly transformed risk measure and its application

Chen, Zhiping; Li Yang; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-860

Persistent link: https://www.econbiz.de/10009631526

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014), pp. 360-384

Purpose–To help investors find an investment policy with strong competitiveness, the purpose of this paper is to construct a multi-period investment decision model with practicality and superior performance. Design/methodology/approach - The paper uses a suitable multi-period risk measure to...

Persistent link: https://www.econbiz.de/10010960135

Tail nonlinearly transformed risk measure and its application

Chen, Zhiping; Yang, Li; Xu, Daobao; Hu, Qianhui - In: OR spectrum : quantitative approaches in management 34 (2012) 4, pp. 817-861

Persistent link: https://www.econbiz.de/10010023502

Multi-period investment decision problem based on time consistent generalized convex risk measure and extremum scenarios

Yang, Li; Chen, Zhiping; Hu, Qianhui - In: China Finance Review International 4 (2014) 4, pp. 360-384

Purpose – To help investors find an investment policy with strong competitiveness, the purpose of this paper is to construct a multi-period investment decision model with practicality and superior performance. Design/methodology/approach – The paper uses a suitable multi-period risk measure...

Persistent link: https://www.econbiz.de/10014694741